@reyaxyz/common 0.380.1 → 0.382.0

package/dist/utils/realized-balance.js.map

@@ -1 +1 @@
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BigNumber from 'bignumber.js';\n\n/** Raw E18 position values, from either Prisma or replication. */\nexport type RealizedBalancePosition = {\n  market_id: { toString(): string };\n  base: { toString(): string } | null;\n  realized_pnl: { toString(): string } | null;\n  funding_value: { toString(): string } | null;\n  base_multiplier: { toString(): string } | null;\n  adl_unwind_price: { toString(): string } | null;\n  last_price: { toString(): string } | null;\n  /** Block the stored trackers were written at; lets stale market trackers be ignored. */\n  block_number?: { toString(): string } | null;\n};\n\nexport type RealizedBalanceTrackers = {\n  longTrackersFundingValue: string;\n  shortTrackersFundingValue: string;\n  longTrackersBaseMultiplier: string;\n  shortTrackersBaseMultiplier: string;\n  longTrackersAdlUnwindPrice: string;\n  shortTrackersAdlUnwindPrice: string;\n  /** Block the market trackers were observed at (optional; enables the staleness guard). */\n  blockNumber?: string | null;\n};\n\n/** Structured cause for service metrics; calculation still fails closed. */\nexport class SettlementTrackerError extends Error {\n  constructor(\n    public readonly marketId: string,\n    public readonly reason: 'missing' | 'inconsistent',\n  ) {\n    super(\n      reason === 'missing'\n        ? `Missing market trackers for ${marketId}`\n        : `Inconsistent ADL trackers for ${marketId}`,\n    );\n    // common targets ES5; restore Error subclass identity after downleveling.\n    Object.setPrototypeOf(this, new.target.prototype);\n    this.name = 'SettlementTrackerError';\n  }\n}\n\nconst WAD = new BigNumber('1000000000000000000');\nconst integer = (value: { toString(): string } | null, field: string) => {\n  const result = new BigNumber(value?.toString() ?? NaN);\n  if (!result.isInteger()) throw new Error(`Missing or invalid ${field}`);\n  return result;\n};\nconst optionalBlock = (value: { toString(): string } | null | undefined) => {\n  if (value === null || value === undefined) return undefined;\n  const result = new BigNumber(value.toString());\n  return result.isInteger() ? result : undefined;\n};\n/**\n * Market trackers older than the position's own snapshot carry nothing the\n * stored position does not already reflect. Off-chain tracker feeds can lag\n * the position stream.\n */\nexport function trackersBehindPosition(\n  position: Pick<RealizedBalancePosition, 'block_number'>,\n  trackers: Pick<RealizedBalanceTrackers, 'blockNumber'>,\n): boolean {\n  const positionBlock = optionalBlock(position.block_number);\n  const trackerBlock = optionalBlock(trackers.blockNumber);\n  return !!positionBlock && !!trackerBlock && positionBlock.gt(trackerBlock);\n}\n\n/**\n * The trackers to ADL-adjust a position's quantity with, guarded the way its\n * settlement is: behind the position, its own multiplier and unwind price stand in.\n */\nexport function positionAdjustmentTrackers<\n  T extends Pick<\n    RealizedBalanceTrackers,\n    | 'longTrackersBaseMultiplier'\n    | 'shortTrackersBaseMultiplier'\n    | 'longTrackersAdlUnwindPrice'\n    | 'shortTrackersAdlUnwindPrice'\n    | 'blockNumber'\n  >,\n>(\n  position: Pick<\n    RealizedBalancePosition,\n    'block_number' | 'base_multiplier' | 'adl_unwind_price'\n  >,\n  trackers: T,\n): T {\n  if (\n    !trackersBehindPosition(position, trackers) ||\n    position.base_multiplier === null ||\n    position.adl_unwind_price === null\n  )\n    return trackers;\n  const multiplier = position.base_multiplier.toString();\n  const unwind = position.adl_unwind_price.toString();\n  return {\n    ...trackers,\n    longTrackersBaseMultiplier: multiplier,\n    shortTrackersBaseMultiplier: multiplier,\n    longTrackersAdlUnwindPrice: unwind,\n    shortTrackersAdlUnwindPrice: unwind,\n  };\n}\n\nconst mulWad = (a: BigNumber, b: BigNumber) =>\n  a.times(b).dividedToIntegerBy(WAD);\nconst divWad = (a: BigNumber, b: BigNumber) =>\n  a.times(WAD).dividedToIntegerBy(b);\n\n/** Mirrors perpOB updatePerpPosition, including PRBMath truncation at each step. */\nexport function calculateSettledPositionPnl(\n  position: RealizedBalancePosition,\n  trackers: RealizedBalanceTrackers | undefined,\n  onGuarded?: () => void,\n): BigNumber {\n  const base = integer(position.base, 'position base');\n  const realized = integer(position.realized_pnl, 'realized PnL');\n  if (base.isZero()) return realized;\n  if (!trackers)\n    throw new SettlementTrackerError(position.market_id.toString(), 'missing');\n\n  const long = base.isPositive();\n  const funding = integer(\n    long\n      ? trackers.longTrackersFundingValue\n      : trackers.shortTrackersFundingValue,\n    'market funding',\n  );\n  const multiplier = integer(\n    long\n      ? trackers.longTrackersBaseMultiplier\n      : trackers.shortTrackersBaseMultiplier,\n    'market multiplier',\n  );\n  const unwind = integer(\n    long\n      ? trackers.longTrackersAdlUnwindPrice\n      : trackers.shortTrackersAdlUnwindPrice,\n    'market unwind price',\n  );\n  const oldMultiplier = integer(\n    position.base_multiplier,\n    'position multiplier',\n  );\n  const oldUnwind = integer(position.adl_unwind_price, 'position unwind price');\n  const oldFunding = integer(position.funding_value, 'position funding');\n  if (\n    funding.eq(oldFunding) &&\n    multiplier.eq(oldMultiplier) &&\n    unwind.eq(oldUnwind)\n  )\n    return realized;\n\n  // Market trackers older than the position's own snapshot carry no new\n  // cashflow: the stored realized PnL already settled everything up to the\n  // position's block. Treat that window as \"nothing accrued\" instead of\n  // projecting a delta backwards (wrong-sign funding, or an ADL guard failure\n  // below).\n  if (trackersBehindPosition(position, trackers)) {\n    onGuarded?.();\n    return realized;\n  }\n\n  if (\n    oldMultiplier.lte(0) ||\n    multiplier.lt(0) ||\n    multiplier.gt(oldMultiplier) ||\n    unwind.lt(oldUnwind)\n  ) {\n    throw new SettlementTrackerError(\n      position.market_id.toString(),\n      'inconsistent',\n    );\n  }\n  const fundingCashflow = mulWad(\n    divWad(funding.minus(oldFunding), oldMultiplier),\n    base.negated(),\n  );\n  const unwindDelta = divWad(unwind.minus(oldUnwind), oldMultiplier);\n  const initialPrice = mulWad(\n    WAD.minus(divWad(multiplier, oldMultiplier)),\n    integer(position.last_price, 'position price'),\n  );\n  const adlCashflow = mulWad(base, unwindDelta.minus(initialPrice));\n  return realized.plus(fundingCashflow).plus(adlCashflow);\n}\n\n/**\n * Raw E18 funding on an open position since its size last changed (a fill,\n * liquidation or ADL unwind): the funding Core settles into the position's\n * realized PnL at its next change (`computeFundingCashflow` in perpOB), from\n * the position's stored funding value to the market trackers. The settled\n * balance already counts it (`calculateSettledPositionPnl`), so this\n * attributes it to the position and must never be added to a balance.\n * Positive means the position received funding.\n *\n * The stored base over the stored multiplier is the same ratio as the\n * ADL-adjusted base over the current multiplier, so no ADL adjustment is\n * needed. Market trackers behind the position's own snapshot accrue nothing,\n * as in settlement.\n */\nexport function calculatePositionFundingSinceChange(\n  position: RealizedBalancePosition,\n  trackers: RealizedBalanceTrackers | undefined,\n): BigNumber {\n  const base = integer(position.base, 'position base');\n  if (base.isZero()) return new BigNumber(0);\n  if (!trackers)\n    throw new SettlementTrackerError(position.market_id.toString(), 'missing');\n  if (trackersBehindPosition(position, trackers)) return new BigNumber(0);\n  const funding = integer(\n    base.isPositive()\n      ? trackers.longTrackersFundingValue\n      : trackers.shortTrackersFundingValue,\n    'market funding',\n  );\n  const lastFunding = integer(position.funding_value, 'position funding');\n  const multiplier = integer(position.base_multiplier, 'position multiplier');\n  if (multiplier.lte(0)) {\n    throw new SettlementTrackerError(\n      position.market_id.toString(),\n      'inconsistent',\n    );\n  }\n  return mulWad(divWad(funding.minus(lastFunding), multiplier), base.negated());\n}\n\n/**\n * Returns raw E18 PnL aligned to collateral units. The instrument floors EACH\n * market's PnL to quote-token precision before Core aggregates collateral info.\n * Funding is the stored market tracker delta; do not extrapolate it with time.\n */\nexport function calculateSettledAccountPnl(\n  positions: RealizedBalancePosition[],\n  trackers: Partial<Record<string, RealizedBalanceTrackers>>,\n  collateralDecimals: number,\n  onGuarded?: () => void,\n): BigNumber {\n  return positions.reduce((sum, position) => {\n    const pnl = calculateSettledPositionPnl(\n      position,\n      trackers[position.market_id.toString()],\n      onGuarded,\n    );\n    const rounded = pnl\n      .shiftedBy(collateralDecimals - 18)\n      .integerValue(BigNumber.ROUND_FLOOR)\n      .shiftedBy(18 - collateralDecimals);\n    return sum.plus(rounded);\n  }, new BigNumber(0));\n}\n"]}
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BigNumber from 'bignumber.js';\n\n/** Raw E18 position values, from either Prisma or replication. */\nexport type RealizedBalancePosition = {\n  market_id: { toString(): string };\n  base: { toString(): string } | null;\n  realized_pnl: { toString(): string } | null;\n  funding_value: { toString(): string } | null;\n  base_multiplier: { toString(): string } | null;\n  adl_unwind_price: { toString(): string } | null;\n  last_price: { toString(): string } | null;\n  /** Block the stored trackers were written at; lets stale market trackers be ignored. */\n  block_number?: { toString(): string } | null;\n};\n\nexport type RealizedBalanceTrackers = {\n  longTrackersFundingValue: string;\n  shortTrackersFundingValue: string;\n  longTrackersBaseMultiplier: string;\n  shortTrackersBaseMultiplier: string;\n  longTrackersAdlUnwindPrice: string;\n  shortTrackersAdlUnwindPrice: string;\n  /** Block the market trackers were observed at (optional; enables the staleness guard). */\n  blockNumber?: string | null;\n};\n\n/** Structured cause for service metrics; calculation still fails closed. */\nexport class SettlementTrackerError extends Error {\n  constructor(\n    public readonly marketId: string,\n    public readonly reason: 'missing' | 'inconsistent',\n  ) {\n    super(\n      reason === 'missing'\n        ? `Missing market trackers for ${marketId}`\n        : `Inconsistent ADL trackers for ${marketId}`,\n    );\n    // common targets ES5; restore Error subclass identity after downleveling.\n    Object.setPrototypeOf(this, new.target.prototype);\n    this.name = 'SettlementTrackerError';\n  }\n}\n\nconst WAD = new BigNumber('1000000000000000000');\nconst integer = (value: { toString(): string } | null, field: string) => {\n  const result = new BigNumber(value?.toString() ?? NaN);\n  if (!result.isInteger()) throw new Error(`Missing or invalid ${field}`);\n  return result;\n};\nconst optionalBlock = (value: { toString(): string } | null | undefined) => {\n  if (value === null || value === undefined) return undefined;\n  const result = new BigNumber(value.toString());\n  return result.isInteger() ? result : undefined;\n};\n/**\n * Market trackers older than the position's own snapshot carry nothing the\n * stored position does not already reflect. Off-chain tracker feeds can lag\n * the position stream.\n */\nexport function trackersBehindPosition(\n  position: Pick<RealizedBalancePosition, 'block_number'>,\n  trackers: Pick<RealizedBalanceTrackers, 'blockNumber'>,\n): boolean {\n  const positionBlock = optionalBlock(position.block_number);\n  const trackerBlock = optionalBlock(trackers.blockNumber);\n  return !!positionBlock && !!trackerBlock && positionBlock.gt(trackerBlock);\n}\n\n/**\n * The trackers to ADL-adjust a position's quantity with, guarded the way its\n * settlement is: behind the position, its own multiplier and unwind price stand in.\n */\nexport function positionAdjustmentTrackers<\n  T extends Pick<\n    RealizedBalanceTrackers,\n    | 'longTrackersBaseMultiplier'\n    | 'shortTrackersBaseMultiplier'\n    | 'longTrackersAdlUnwindPrice'\n    | 'shortTrackersAdlUnwindPrice'\n    | 'blockNumber'\n  >,\n>(\n  position: Pick<\n    RealizedBalancePosition,\n    'block_number' | 'base_multiplier' | 'adl_unwind_price'\n  >,\n  trackers: T,\n): T {\n  if (\n    !trackersBehindPosition(position, trackers) ||\n    position.base_multiplier === null ||\n    position.adl_unwind_price === null\n  )\n    return trackers;\n  const multiplier = position.base_multiplier.toString();\n  const unwind = position.adl_unwind_price.toString();\n  return {\n    ...trackers,\n    longTrackersBaseMultiplier: multiplier,\n    shortTrackersBaseMultiplier: multiplier,\n    longTrackersAdlUnwindPrice: unwind,\n    shortTrackersAdlUnwindPrice: unwind,\n  };\n}\n\nconst mulWad = (a: BigNumber, b: BigNumber) =>\n  a.times(b).dividedToIntegerBy(WAD);\nconst divWad = (a: BigNumber, b: BigNumber) =>\n  a.times(WAD).dividedToIntegerBy(b);\n\n/** Mirrors perpOB updatePerpPosition, including PRBMath truncation at each step. */\nexport function calculateSettledPositionPnl(\n  position: RealizedBalancePosition,\n  trackers: RealizedBalanceTrackers | undefined,\n  onGuarded?: () => void,\n): BigNumber {\n  const base = integer(position.base, 'position base');\n  const realized = integer(position.realized_pnl, 'realized PnL');\n  if (base.isZero()) return realized;\n  if (!trackers)\n    throw new SettlementTrackerError(position.market_id.toString(), 'missing');\n\n  const long = base.isPositive();\n  const funding = integer(\n    long\n      ? trackers.longTrackersFundingValue\n      : trackers.shortTrackersFundingValue,\n    'market funding',\n  );\n  const multiplier = integer(\n    long\n      ? trackers.longTrackersBaseMultiplier\n      : trackers.shortTrackersBaseMultiplier,\n    'market multiplier',\n  );\n  const unwind = integer(\n    long\n      ? trackers.longTrackersAdlUnwindPrice\n      : trackers.shortTrackersAdlUnwindPrice,\n    'market unwind price',\n  );\n  const oldMultiplier = integer(\n    position.base_multiplier,\n    'position multiplier',\n  );\n  const oldUnwind = integer(position.adl_unwind_price, 'position unwind price');\n  const oldFunding = integer(position.funding_value, 'position funding');\n  if (\n    funding.eq(oldFunding) &&\n    multiplier.eq(oldMultiplier) &&\n    unwind.eq(oldUnwind)\n  )\n    return realized;\n\n  // Market trackers older than the position's own snapshot carry no new\n  // cashflow: the stored realized PnL already settled everything up to the\n  // position's block. Treat that window as \"nothing accrued\" instead of\n  // projecting a delta backwards (wrong-sign funding, or an ADL guard failure\n  // below).\n  if (trackersBehindPosition(position, trackers)) {\n    onGuarded?.();\n    return realized;\n  }\n\n  if (\n    oldMultiplier.lte(0) ||\n    multiplier.lt(0) ||\n    multiplier.gt(oldMultiplier) ||\n    unwind.lt(oldUnwind)\n  ) {\n    throw new SettlementTrackerError(\n      position.market_id.toString(),\n      'inconsistent',\n    );\n  }\n  const fundingCashflow = mulWad(\n    divWad(funding.minus(oldFunding), oldMultiplier),\n    base.negated(),\n  );\n  const unwindDelta = divWad(unwind.minus(oldUnwind), oldMultiplier);\n  const initialPrice = mulWad(\n    WAD.minus(divWad(multiplier, oldMultiplier)),\n    integer(position.last_price, 'position price'),\n  );\n  const adlCashflow = mulWad(base, unwindDelta.minus(initialPrice));\n  return realized.plus(fundingCashflow).plus(adlCashflow);\n}\n\n/**\n * Raw E18 funding on an open position since its size last changed (a fill,\n * liquidation or ADL unwind): the funding Core settles into the position's\n * realized PnL at its next change (`computeFundingCashflow` in perpOB), from\n * the position's stored funding value to the market trackers. The settled\n * balance already counts it (`calculateSettledPositionPnl`), so this\n * attributes it to the position and must never be added to a balance.\n * Positive means the position received funding.\n *\n * The stored base over the stored multiplier is the same ratio as the\n * ADL-adjusted base over the current multiplier, so no ADL adjustment is\n * needed. Market trackers behind the position's own snapshot accrue nothing,\n * as in settlement.\n */\nexport function calculatePositionFundingSinceChange(\n  position: RealizedBalancePosition,\n  trackers: RealizedBalanceTrackers | undefined,\n): BigNumber {\n  const base = integer(position.base, 'position base');\n  if (base.isZero()) return new BigNumber(0);\n  if (!trackers)\n    throw new SettlementTrackerError(position.market_id.toString(), 'missing');\n  if (trackersBehindPosition(position, trackers)) return new BigNumber(0);\n  const funding = integer(\n    base.isPositive()\n      ? trackers.longTrackersFundingValue\n      : trackers.shortTrackersFundingValue,\n    'market funding',\n  );\n  const lastFunding = integer(position.funding_value, 'position funding');\n  const multiplier = integer(position.base_multiplier, 'position multiplier');\n  if (multiplier.lte(0)) {\n    throw new SettlementTrackerError(\n      position.market_id.toString(),\n      'inconsistent',\n    );\n  }\n  return mulWad(divWad(funding.minus(lastFunding), multiplier), base.negated());\n}\n\n/**\n * Raw E18 funding on an open position since its session (the contract's\n * `position.session`) opened, positive received: the funding settled at its\n * fills since then (positions.session_settled_funding, RET-281) plus\n * calculatePositionFundingSinceChange. Null while the settled part is unknown\n * (a session opened before the indexer kept it, not yet backfilled).\n */\nexport function calculatePositionFundingSinceOpen(\n  position: RealizedBalancePosition & {\n    session_settled_funding?: { toString(): string } | null;\n  },\n  trackers: RealizedBalanceTrackers | undefined,\n): BigNumber | null {\n  const settled = position.session_settled_funding;\n  if (settled === null || settled === undefined) return null;\n  return new BigNumber(settled.toString()).plus(\n    calculatePositionFundingSinceChange(position, trackers),\n  );\n}\n\n/** A stored position's fields `nextSessionSettledFunding` reads (raw E18). */\nexport type SessionFundingPosition = {\n  base: { toString(): string } | null;\n  funding_value: { toString(): string } | null;\n  base_multiplier: { toString(): string } | null;\n  session: { toString(): string } | null;\n  session_settled_funding?: { toString(): string } | null;\n};\n\n/**\n * positions.session_settled_funding after a fill (RET-281), as the\n * perp-execution indexer's upsert computes it (persistPerpExecutionCte.ts):\n * raw E18 funding settled into the position at its fills since its current\n * session (the contract's `position.session`) opened, positive received.\n *\n * - No stored position, or a new session (opened from flat or flipped): 0.\n *   The opening fill's settlement belonged to the previous position. A\n *   stored position from before the `session` column has none to compare:\n *   there flat before, or the other side, opens one.\n * - Within a session: plus computeFundingCashflow of the stored position\n *   against the fill's post-fill funding value, which within a session is\n *   the value it settled at.\n * - Unknown (null) stays unknown; a flat position or a zero multiplier\n *   accrues nothing.\n */\nexport function nextSessionSettledFunding(\n  previous: SessionFundingPosition | undefined,\n  next: Pick<SessionFundingPosition, 'session' | 'funding_value' | 'base'>,\n): string | null {\n  if (!previous) return '0';\n  const base =\n    previous.base === null ? null : new BigNumber(previous.base.toString());\n  if (previous.session !== null && previous.session !== undefined) {\n    if (previous.session.toString() !== String(next.session)) return '0';\n  } else if (\n    base === null ||\n    base.isZero() ||\n    base.gt(0) !== new BigNumber(String(next.base)).gt(0)\n  ) {\n    return '0';\n  }\n  const settled = previous.session_settled_funding;\n  if (settled === null || settled === undefined) return null;\n  const multiplier = new BigNumber(previous.base_multiplier?.toString() ?? 0);\n  if (base === null || base.isZero() || !multiplier.gt(0)) {\n    return settled.toString();\n  }\n  // As the SQL: a stored position without a funding value is unknown.\n  if (previous.funding_value === null) return null;\n  const delta = integer(next.funding_value, 'fill funding').minus(\n    integer(previous.funding_value, 'position funding'),\n  );\n  return new BigNumber(settled.toString())\n    .plus(mulWad(divWad(delta, multiplier), base.negated()))\n    .toFixed();\n}\n\n/**\n * Returns raw E18 PnL aligned to collateral units. The instrument floors EACH\n * market's PnL to quote-token precision before Core aggregates collateral info.\n * Funding is the stored market tracker delta; do not extrapolate it with time.\n */\nexport function calculateSettledAccountPnl(\n  positions: RealizedBalancePosition[],\n  trackers: Partial<Record<string, RealizedBalanceTrackers>>,\n  collateralDecimals: number,\n  onGuarded?: () => void,\n): BigNumber {\n  return positions.reduce((sum, position) => {\n    const pnl = calculateSettledPositionPnl(\n      position,\n      trackers[position.market_id.toString()],\n      onGuarded,\n    );\n    const rounded = pnl\n      .shiftedBy(collateralDecimals - 18)\n      .integerValue(BigNumber.ROUND_FLOOR)\n      .shiftedBy(18 - collateralDecimals);\n    return sum.plus(rounded);\n  }, new BigNumber(0));\n}\n"]}

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "@reyaxyz/common",
-  "version": "0.380.1",
+  "version": "0.382.0",
   "publishConfig": {
     "access": "public",
     "registry": "https://registry.npmjs.org"
@@ -41,5 +41,5 @@
     "test:coverage": "npx jest test --coverage",
     "generate:coverage-badges": "npx istanbul-badges-readme --silent"
   },
-  "gitHead": "7ecfa8d46719b8a6954ed8b9923a2bad3dc78af8"
+  "gitHead": "2098c695276efcc01cb2c7c8a5259bfd7a385cb6"
 }

package/src/trading-api-types.ts

@@ -105,6 +105,12 @@ type Position = {
   adl_unwind_price: Decimal | null;
   average_entry_funding_value: Decimal | null;
   session: Decimal | null;
+  /**
+   * Funding settled at the position's fills since its session opened (raw
+   * E18, RET-281). Stored by the indexer; absent from trade-stream rows, whose
+   * consumers derive it with `nextSessionSettledFunding`. Null while unknown.
+   */
+  session_settled_funding?: Decimal | null;
   exchange_id: Decimal | null;
   event_sequence_number: bigint | null;
   referrer_account_id: Decimal | null;